In this paper I derive a risk-adjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe (1964), Lintner (1965a) and Treynor (Undated). I apply the measure to estimate the predictive ability of 115 mutual fund man...

This paper extends the risk-sensitive asset management theory developed by Bielecki and Pliska and by Kuroda and Nagai to the case where the investor’s objective is to outperform an investment benchmark. The main result is a mutual fund theorem. Every investor following the same benchmark will take positions, in proportions dependent on his/her risk sensitivity coefficient, in two funds: the lo...

We classify mutual funds using cluster analysis and examine whether the categories created by clusters are the same as those assigned by the invest ment objectives Since mutual funds are usually classi ed based on their investment objectives clustering funds based on their nancial characteris tics rather than their investment objectives could explain why some mutual funds do not perform accordi...

The two main types of benchmarks used in the UK are external assetclass benchmarks and peer-group benchmarks. Peer-group tracking is much more prevalent with pension funds and mutual funds than with life funds. However, the use of customized benchmarks that reflect the specific objectives set by particular funds is increasing. Benchmarks influence the type of assets selected and, equally signif...

The two main types of benchmarks used in the UK are external assetclass benchmarks and peer-group benchmarks. Peer-group tracking is much more prevalent with pension funds and mutual funds than with life funds. However, the use of customized benchmarks that reflect the specific objectives set by particular funds is increasing. Benchmarks influence the type of assets selected and, equally signif...

The impact of financial leverage on firm investment is one of the most important issues in corporate finance. Debt overhang reduces the incentives of shareholder–management coalition in controlling the firm to invest in positive net-present-value investment opportunities. On the other hand, firms without debt in their financial structure face with a new problem known as over-investment. T...

The contribution of this paper is two-fold. First, we show that mutual fund theorems hold when minimizing the probability of lifetime ruin (that is, wealth reaching zero before death), as they do when maximizing the utility of consumption (Merton, 1971). Bayraktar and Young (2007a) determine when the investment strategies are identical under the two problems of maximizing utility of consumption...

The contribution of this paper is two-fold. First, we show that mutual fund theorems hold when minimizing the probability of lifetime ruin (that is, wealth reaching zero before death), as Merton (1971) does when maximizing the utility of consumption. Bayraktar and Young (2007a) determine when the investment strategies are identical under the two problems of maximizing utility of consumption or ...

The study tries to evaluate as well find out the causes of investor intentions when investing their funds in mutual funds. we use a sample from Bank Mandiri on grounds that anomaly value assets and large branches was not able make an entity has highest fund investment portfolio Indonesia. We used total 200 respondents East Java, data processed with structural equation model path analysis approa...

Ads of stocks and mutual funds typically tout their past performance, despite a disclosure that past performance does not guarantee future returns. Are consumers motivated to buy or sell based on past performance of assets? More generally, do consumers (wrongly) use sequential information about past performance of assets to make suboptimal decisions? Use of this heuristic leads to two well-know...